Cytochrome c oxidase is a redox-driven proton pump that creates a membrane proton gradient responsible for driving ATP synthesis in aerobic cells. The crystal structure of the enzyme has been recently solved; however, the details of the mechanism of its proton pumping remain unknown. The enzyme internal water molecules play a key role in proton translocation through the enzyme. Here, we examine the thermodynamic properties of internal water in a hydrophobic cavity around the catalytic center of the enzyme. The crystal structure does not show any water molecules in this region; it is believed, however, that, since protons are delivered to the catalytic center, where the reduction of molecular oxygen occurs, at least some water molecules must be present there. The goal of the present study was to examine how many water molecules are present in the catalytic center cavity and why these water molecules are not observed in the crystal structure of the enzyme. The behavior of water molecules is discussed in the context of redox-coupled proton translocation in the enzyme.